Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants
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References listed on IDEAS
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- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.),Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Abdelkader Derbali, 2018. "How the default probability is defined by the CreditRisk+ model?," Working Papers hal-01696011, HAL.
- Jean-Guy Simonato, 2015. "New Warrant Issues Valuation with Leverage and Equity Model Errors," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 247-272, April.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Abdelkader Derbali, 2018. "The credit portfolio management by structural models: A theoretical analysis," Working Papers hal-01696009, HAL.
- Abdelkader Derbali, 2018.
"The Credit Portfolio Management by the Econometric Models: A Theoretical Analysis,"
Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 14(4), pages 612-618, AUGUST.
- Abdelkader Derbali, 2018. "The credit portfolio management by the econometric models: A theoretical analysis," Working Papers hal-01696010, HAL.
- Abdelkader Derbali, 2018. "The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 14(5), pages 184-216, OCTOBER.
More about this item
Keywordscorporate finance; financial structure; leverage effect; option pricing; security valuation; stochastic volatility; warrants; numerical methods;
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